High-dimensional variable selection with reciprocal L₁-regularization

DOI10.1080/01621459.2014.984812zbMATH Open1373.62358OpenAlexW1992571403MaRDI QIDQ5367472FDOQ5367472

Faming Liang, Qifan Song

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.984812

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zbMATH Keywords

Lassovariable selectionsmoothly clipped absolute deviation (SCAD)penalized likelihood methodsreciprocal Lassostochastic approximation annealing

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited In (19)

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• Bayesian reciprocal LASSO quantile regression
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• \(L_1\)-regularized least squares for support recovery of high dimensional single index models with Gaussian designs
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• Variable selection for nonparametric quantile regression via measurement error model

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